Did you unzip the file? I have noticed for some games like that, you can open the zip file and play the game without extracting it from the zip file. Often time it works just fine, but causes some bugs, like not being able to save and stuff. Same things happens if instead of downloading a file, you just open from the web. It will get put in a temporary folder and will work just fine, normally til you restart your computer(Though possibly longer?).

So make sure its not in the zip folder, or a temporary folder.